Abstract Background Foreign-born workers in high-income countries experience higher rates of COVID-19 but the causes are only partially known. Aims To examine if the occupational risk of COVID-19 in foreign-born workers deviates from the risk in native-born employees in Denmark. Methods Within a registry-based cohort of all residents employed in Denmark (n = 2 451 542), we identified four-digit DISCO-08 occupations associated with an increased incidence of COVID-19-related hospital admission during 2020–21 (at-risk occupations). The sex-specific prevalence of at-risk employment in foreign born was compared with the prevalence in native born. Moreover, we examined if the country of birth modified the risk of a positive SARS-CoV-2 polymerase chain reaction (PCR) test and COVID-19-related hospital admission in at-risk occupations. Results Workers born in low-income countries and male workers from Eastern Europe more often worked in at-risk occupations (relative risks between 1.16 [95% confidence interval {CI} 1.14–1.17] and 1.87 [95% CI 1.82–1.90]). Being foreign-born modified the adjusted risk of PCR test positivity (test for interaction P < 0.0001), primarily because of higher risk in at-risk occupations among men born in Eastern European countries (incidence rate ratio [IRR] 2.39 [95% CI 2.09–2.72] versus IRR 1.19 [95% CI 1.14–1.23] in native-born men). For COVID-19-related hospital admission, no overall interaction was seen, and in women, country of birth did not consistently modify the occupational risk. Conclusions Workplace viral transmission may contribute to an excess risk of COVID-19 in male workers born in Eastern Europe, but most foreign-born employees in at-risk occupations seem not to be at higher occupational risk than native born.